Particles stick to side faces
It can be done by using an addon called Animation Nodes.



The basic concept here is to get the location of each particle unit by the moment they die on hitting the collider. Then parent them to it immediately.

Here is a template setup:

 (2018-07-21 updated, compatible with AN2.0)

How to Use:


Open the attached file;
Download the addon from the link above, then install and enable it;
Replace Eimtter and Collider object input on related nodes.
Go to frame 1, play animation.